arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1208.2658math.APmath.PRq-fin.CPq-fin.PR
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金融数学中的退化椭圆算子与变分方程解的高阶正则性

Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations

Paul M. N. Feehan, Camelia A. Pop

摘要:

我们建立高阶加权Sobolev和Holder正则性的解决方案,变分方程定义的椭圆赫斯顿算子,线性二阶退化椭圆算子在数学金融。进一步,在给定$C^\infty$ -光滑数据的情况下,证明了解的$C^\infty$ -正则性直到算子退化的边界部分.在数学金融学中,椭圆赫斯顿算子的障碍问题的解对应于标的资产上的永久美式期权的价值函数。

英文摘要:

We establish higher-order weighted Sobolev and Holder regularity for solutions to variational equations defined by the elliptic Heston operator, a linear second-order degenerate-elliptic operator arising in mathematical finance. Furthermore, given $C^\infty$-smooth data, we prove $C^\infty$-regularity of solutions up to the portion of the boundary where the operator is degenerate. In mathematical finance, solutions to obstacle problems for the elliptic Heston operator correspond to value functions for perpetual American-style options on the underlying asset.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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